Unrealized expectations of jumps in volatility: An explanation to the low and time-varying predictive power of implied volatility

The low predictive power of implied volatility in forecasting the subsequently realized volatility is a well-documented empirical puzzle. As suggested by e.g. Feinstein (1989), Jackwerth and Rubinstein (1996), and Bates (1997), we test whether unrealized expectations of jumps in volatility could explain this phenomenon. Our findings show that expectations of infrequently occurring jumps in volatility are indeed priced in implied volatility. This has two important consequences. First, implied volatility is actually expected to exceed realized volatility over long periods of time only to be greatly less than realized volatility during infrequently occurring periods of very high volatility. Second, the slope coefficient in the classic forecasting regression of realized volatility on implied volatility is very sensitive to the discrepancy between ex ante expected and ex post realized jump frequencies. If the in-sample frequency of positive volatility jumps is lower than ex ante assessed by the market, the classic regression test tends to reject the hypothesis of informational efficiency even if markets are informationally effective.

An Empirical Study of the Mixture of Time and Movements in Prices

This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressive Conditional Duration (ACD) model as in Engle and Russell (1998). The prices are defined as price changes and formulated as a GARCH process including duration measures. The research question follows from market microstructure predictions about price intensities defined as time between price changes. The microstructure theory states that long transaction durations might be associated with both no news and bad news. Accordingly, short durations would be related to high volatility and long durations to low volatility. As a result, the spread will tend to be larger under intensive moments. The main findings of this study are 1) arrival times are positively autocorrelated and 2) long durations are associated with low volatility in the market.

The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings.

Time Dimension in Consumers’ Image Construction Processes: Introducing Image Heritage and Image-in-use

This paper focuses on the time dimension in consumers’ image construction processes. Two new concepts are introduced to cover past consumer experiences about the company – image heritage, and the present image construction process - image-in-use. Image heritage and image-in-use captures the dynamic, relational, social, and contextual features of corporate image construction processes. Qualitative data from a retailing context were collected and analysed following a grounded theory approach. The study demonstrates that consumers’ corporate images have long roots in past experiences. Understanding consumers’ image heritage provides opportunities for understanding how consumers might interpret management initiatives and branding activities in the present.

Real-Time PCR : A Molecular Approach to Investigate the Role of Intestinal Microbiota in the Pathophysiology of Irritable Bowel Syndrome

Irritable bowel syndrome (IBS) is a common multifactorial functional intestinal disorder, the pathogenesis of which is not completely understood. Increasing scientific evidence suggests that microbes are involved in the onset and maintenance of IBS symptoms. The microbiota of the human gastrointestinal (GI) tract constitutes a massive and complex ecosystem consisting mainly of obligate anaerobic microorganisms making the use of culture-based methods demanding and prone to misinterpretation. To overcome these drawbacks, an extensive panel of species- and group-specific assays for an accurate quantification of bacteria from fecal samples with real-time PCR was developed, optimized, and validated. As a result, the target bacteria were detectable at a minimum concentration range of approximately 10 000 bacterial genomes per gram of fecal sample, which corresponds to the sensitivity to detect 0.000001% subpopulations of the total fecal microbiota. The real-time PCR panel covering both commensal and pathogenic microorganisms was assessed to compare the intestinal microbiota of patients suffering from IBS with a healthy control group devoid of GI symptoms. Both the IBS and control groups showed considerable individual variation in gut microbiota composition. Sorting of the IBS patients according to the symptom subtypes (diarrhea, constipation, and alternating predominant type) revealed that lower amounts of Lactobacillus spp. were present in the samples of diarrhea predominant IBS patients, whereas constipation predominant IBS patients carried increased amounts of Veillonella spp. In the screening of intestinal pathogens, 17% of IBS samples tested positive for Staphylococcus aureus, whereas no positive cases were discovered among healthy controls. Furthermore, the methodology was applied to monitor the effects of a multispecies probiotic supplementation on GI microbiota of IBS sufferers. In the placebo-controlled double-blind probiotic intervention trial of IBS patients, each supplemented probiotic strain was detected in fecal samples. Intestinal microbiota remained stable during the trial, except for Bifidobacterium spp., which increased in the placebo group and decreased in the probiotic group. The combination of assays developed and applied in this thesis has an overall coverage of 300-400 known bacterial species, along with the number of yet unknown phylotypes. Hence, it provides good means for studying the intestinal microbiota, irrespective of the intestinal condition and health status. In particular, it allows screening and identification of microbes putatively associated with IBS. The alterations in the gut microbiota discovered here support the hypothesis that microbes are likely to contribute to the pathophysiology of IBS. The central question is whether the microbiota changes described represent the cause for, rather than the effect of, disturbed gut physiology. Therefore, more studies are needed to determine the role and importance of individual microbial species or groups in IBS. In addition, it is essential that the microbial alterations observed in this study will be confirmed using a larger set of IBS samples of different subtypes, preferably from various geographical locations.

Gauge Field Theories, Quantum Space-Time and Some Applications

In this thesis, the possibility of extending the Quantization Condition of Dirac for Magnetic Monopoles to noncommutative space-time is investigated. The three publications that this thesis is based on are all in direct link to this investigation. Noncommutative solitons have been found within certain noncommutative field theories, but it is not known whether they possesses only topological charge or also magnetic charge. This is a consequence of that the noncommutative topological charge need not coincide with the noncommutative magnetic charge, although they are equivalent in the commutative context. The aim of this work is to begin to fill this gap of knowledge. The method of investigation is perturbative and leaves open the question of whether a nonperturbative source for the magnetic monopole can be constructed, although some aspects of such a generalization are indicated. The main result is that while the noncommutative Aharonov-Bohm effect can be formulated in a gauge invariant way, the quantization condition of Dirac is not satisfied in the case of a perturbative source for the point-like magnetic monopole.

Noncommutative Quantum Field Theory : Problem of Time and Some Applications

In this thesis the current status and some open problems of noncommutative quantum field theory are reviewed. The introduction aims to put these theories in their proper context as a part of the larger program to model the properties of quantized space-time. Throughout the thesis, special focus is put on the role of noncommutative time and how its nonlocal nature presents us with problems. Applications in scalar field theories as well as in gauge field theories are presented. The infinite nonlocality of space-time introduced by the noncommutative coordinate operators leads to interesting structure and new physics. High energy and low energy scales are mixed, causality and unitarity are threatened and in gauge theory the tools for model building are drastically reduced. As a case study in noncommutative gauge theory, the Dirac quantization condition of magnetic monopoles is examined with the conclusion that, at least in perturbation theory, it cannot be fulfilled in noncommutative space.

Accurate mass-based analysis in human sport doping control : Application of liquid chromatography - time-of-flight mass spectrometry

Human sport doping control analysis is a complex and challenging task for anti-doping laboratories. The List of Prohibited Substances and Methods, updated annually by World Anti-Doping Agency (WADA), consists of hundreds of chemically and pharmacologically different low and high molecular weight compounds. This poses a considerable challenge for laboratories to analyze for them all in a limited amount of time from a limited sample aliquot. The continuous expansion of the Prohibited List obliges laboratories to keep their analytical methods updated and to research new available methodologies. In this thesis, an accurate mass-based analysis employing liquid chromatography - time-of-flight mass spectrometry (LC-TOFMS) was developed and validated to improve the power of doping control analysis. New analytical methods were developed utilizing the high mass accuracy and high information content obtained by TOFMS to generate comprehensive and generic screening procedures. The suitability of LC-TOFMS for comprehensive screening was demonstrated for the first time in the field with mass accuracies better than 1 mDa. Further attention was given to generic sample preparation, an essential part of screening analysis, to rationalize the whole work flow and minimize the need for several separate sample preparation methods. Utilizing both positive and negative ionization allowed the detection of almost 200 prohibited substances. Automatic data processing produced a Microsoft Excel based report highlighting the entries fulfilling the criteria of the reverse data base search (retention time (RT), mass accuracy, isotope match). The quantitative performance of LC-TOFMS was demonstrated with morphine, codeine and their intact glucuronide conjugates. After a straightforward sample preparation the compounds were analyzed directly without the need for hydrolysis, solvent transfer, evaporation or reconstitution. The hydrophilic interaction technique (HILIC) provided good chromatographic separation, which was critical for the morphine glucuronide isomers. A wide linear range (50-5000 ng/ml) with good precision (RSD<10%) and accuracy (±10%) was obtained, showing comparable or better performance to other methods used. In-source collision-induced dissociation (ISCID) allowed confirmation analysis with three diagnostic ions with a median mass accuracy of 1.08 mDa and repeatable ion ratios fulfilling WADA s identification criteria. The suitability of LC-TOFMS for screening of high molecular weight doping agents was demonstrated with plasma volume expanders (PVE), namely dextran and hydroxyethylstarch (HES). Specificity of the assay was improved, since interfering matrix compounds were removed by size exclusion chromatography (SEC). ISCID produced three characteristic ions with an excellent mean mass accuracy of 0.82 mDa at physiological concentration levels. In summary, by combining TOFMS with a proper sample preparation and chromatographic separation, the technique can be utilized extensively in doping control laboratories for comprehensive screening of chemically different low and high molecular weight compounds, for quantification of threshold substances and even for confirmation. LC-TOFMS rationalized the work flow in doping control laboratories by simplifying the screening scheme, expediting reporting and minimizing the analysis costs. Therefore LC-TOFMS can be exploited widely in doping control, and the need for several separate analysis techniques is reduced.

Dual-trap optical tweezers with real-time force clamp control

Single molecule force clamp experiments are widely used to investigate how enzymes, molecular motors, and other molecular mechanisms work. We developed a dual-trap optical tweezers instrument with real-time (200 kHz update rate) force clamp control that can exert 0–100 pN forces on trapped beads. A model for force clamp experiments in the dumbbell-geometry is presented. We observe good agreement between predicted and observed power spectra of bead position and force fluctuations. The model can be used to predict and optimize the dynamics of real-time force clamp optical tweezers instruments. The results from a proof-of-principle experiment in which lambda exonuclease converts a double-stranded DNA tether, held at constant tension, into its single-stranded form, show that the developed instrument is suitable for experiments in single molecule biology.

Leisure-time physical activity, health related functioning and retirement : a prospective cohort study among middle-aged employees

Physical inactivity has become a major threat to public health worldwide. The Finnish health and welfare policies emphasize that the working population should maintain good health and functioning until their normal retirement age and remain in good health and independence later in life. Health behaviours like physical activity potentially play an important role in reaching this target as physical activity contributes to better physical fitness and to reduced risk of major chronic diseases. The aim of this study was to examine first whether the volume and intensity of leisure-time physical activity impacts on subsequent physical health functioning, sickness absence and disability retirement. The second aim was to examine changes in leisure-time physical activity of moderate and vigorous intensity after transition to retirement. This study is part of the ongoing Helsinki Health Study. The baseline data were collected by questionnaires in 2000 - 02 among the employees of the City of Helsinki aged 40 to 60. The follow-up survey data were collected in 2007. Data on sickness absence were obtained from the employer s (City of Helsinki) sickness absence registers and pension data were obtained from the Finnish Centre for Pensions. Leisure-time physical activity was measured in four grades of intensity and classified according to physical activity recommendations considering both the volume and intensity of physical activity. Statistical techniques including analysis of covariance, logistic regression, Cox proportional hazards models and Poisson regression were used. Employees who were vigorously active during leisure time especially had better physical health functioning than those physically inactive. High physical activity in particular contributed to the maintenance of good physical health functioning. High physical activity also reduced the risk of subsequent sickness absences as well as the risk of all-cause disability retirement and retirement due to musculoskeletal and mental causes. Among those transferred to old-age retirement moderate-intensity leisure-time physical activity increased on average by more than half an hour per week and in addition the occurrence of physical inactivity reduced. Such changes were not observed among those remained employed and those transferred to disability retirement. This prospective cohort study provided novel results on the effects of leisure-time physical activity on health related functioning and changes in leisure-time physical activity after retirement. Although the benefits of moderate-intensity physical activity for health are well known these results suggest the importance of vigorous physical activity for subsequent health related functioning. Thus vigorous physical activity to enhance fitness should be given more emphasis from a public health perspective. In addition, physical activity should be encouraged among those who are about to retire.

Mechanism-based inhibition of CYP2C8 by gemfibrozil in humans : characterisation of time and dose relationships

Drug-drug interactions may cause serious, even fatal clinical consequences. Therefore, it is important to examine the interaction potential of new chemical entities early in drug development. Mechanism-based inhibition is a pharmacokinetic interaction type, which causes irreversible loss of enzyme activity and can therefore lead to unusually profound and long-lasting consequences. The in vitro in vivo extrapolation (IVIVE) of drug-drug interactions caused by mechanism-based inhibition is challenging. Consequently, many of these interactions have remained unrecognised for many years. The concomitant use of the fibrate-class lipid-lowering agent gemfibrozil increases the concentrations of some drugs and their effects markedly. Even fatal cases of rhabdomyolysis occurred in patients administering gemfibrozil and cerivastatin concomitantly. One of the main mechanisms behind this effect is the mechanism-based inhibition of the cytochrome P450 (CYP) 2C8 enzyme by a glucuronide metabolite of gemfibrozil leading to increased cerivastatin concentrations. Although the clinical use of gemfibrozil has clearly decreased during recent years, gemfibrozil is still needed in some special cases. To enable safe use of gemfibrozil concomitantly with other drugs, information concerning the time and dose relationships of CYP2C8 inhibition by gemfibrozil should be known. This work was carried out as four in vivo clinical drug-drug interaction studies to examine the time and dose relationships of the mechanism-based inhibitory effect of gemfibrozil on CYP2C8. The oral antidiabetic drug repaglinide was used as a probe drug for measuring CYP2C8 activity in healthy volunteers. In this work, mechanism-based inhibition of the CYP2C8 enzyme by gemfibrozil was found to occur rapidly in humans. The inhibitory effect developed to its maximum already when repaglinide was given 1-3 h after gemfibrozil intake. In addition, the inhibition was shown to abate slowly. A full recovery of CYP2C8 activity, as measured by repaglinide metabolism, was achieved 96 h after cessation of gemfibrozil treatment. The dose-dependency of the mechanism-based inhibition of CYP2C8 by gemfibrozil was shown for the first time in this work. CYP2C8 activity was halved by a single 30 mg dose of gemfibrozil or by twice daily administration of less than 30 mg of gemfibrozil. Furthermore, CYP2C8 activity was decreased over 90% by a single dose of 900 mg gemfibrozil or twice daily dosing of approximately 100 mg gemfibrozil. In addition, with the application of physiological models to the data obtained in the dose-dependency studies, the major role of mechanism-based inhibition of CYP2C8 in the interaction between gemfibrozil and repaglinide was confirmed. The results of this work enhance the proper use of gemfibrozil and the safety of patients. The information related to time-dependency of CYP2C8 inhibition by gemfibrozil may also give new insights in order to improve the IVIVE of the drug-drug interactions of new chemical entities. The information obtained by this work may be utilised also in the design of clinical drug-drug interaction studies in the future.

Underemployment and part-time work in the Nordic countries

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